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Bank Default Prediction: A Comparative Model using Principal ComponentAnalysis 银行违约预测:使用主成分分析的比较模型
Journal of Stock & Forex Trading Pub Date : 2015-03-26 DOI: 10.4172/2168-9458.1000149
T. Mitchell
{"title":"Bank Default Prediction: A Comparative Model using Principal ComponentAnalysis","authors":"T. Mitchell","doi":"10.4172/2168-9458.1000149","DOIUrl":"https://doi.org/10.4172/2168-9458.1000149","url":null,"abstract":"Bank default prediction continues to draw attention given the ongoing effects of the recent financial crisis. Seminal works have found that structural models are better predictors of default. In this paper I argue that accounting models predictive ability have been weakened due to the multicollinearity problem and propose principal component analysis to improve the accounting model. The paper then compares accounting and structural default prediction models using a logit analysis and further evaluates the performance of a combination of accounting and structural default models to predict default. The paper uses panel data on US banks from the Federal Deposit Insurance Corporation database between 1995-2012 and the analysis is developed on 519 defaulted bank years and 5,965 non defaulted bank years. The accounting model is improved and outperforms the structural model; the study also finds that a combination of both models performs better than any one model at predicting default in the US banking system.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114863041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
How does the Occurrence of Stock Price Reversals Following End-of-the- day Price Moves Differ in Bull and Bear Markets? 在牛市和熊市中，收盘后股价反转的发生有何不同?
Journal of Stock & Forex Trading Pub Date : 2015-03-20 DOI: 10.4172/2168-9458.1000144
Chun-Li Tsai
{"title":"How does the Occurrence of Stock Price Reversals Following End-of-the- day Price Moves Differ in Bull and Bear Markets?","authors":"Chun-Li Tsai","doi":"10.4172/2168-9458.1000144","DOIUrl":"https://doi.org/10.4172/2168-9458.1000144","url":null,"abstract":"This paper uses intraday price data for 326 individual firms to examine how the occurrence of interday stock price reversals differs in bull and bear markets. We find that price reversals following the previous day’s larger high-to-close (low-to-close) price differences are more likely to occur in a bull (bear) market. Based on these findings, we find that the portfolios based on larger high-to-close price differences in the bull market, and portfolios based on smaller low-toclose price differences both in bull and bear markets are profitable investment strategies. In particularly, in bull markets, the portfolios based on smaller low-to-close price differences in the Mining and Service industries yield higher returns; in bear markets, portfolios based on smaller low-to-close price differences in Construction, Finance and Retail Trade yield higher returns","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130748290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Yield Curve as a Leading Indicator in Predicting Economic Slowdowns: An Evidence from India 收益率曲线作为预测经济放缓的领先指标：印度的证据
Journal of Stock & Forex Trading Pub Date : 2015-03-14 DOI: 10.4172/2168-9458.1000147
Hemal Kh, wala
{"title":"Yield Curve as a Leading Indicator in Predicting Economic Slowdowns: An Evidence from India","authors":"Hemal Kh, wala","doi":"10.4172/2168-9458.1000147","DOIUrl":"https://doi.org/10.4172/2168-9458.1000147","url":null,"abstract":"There exists literature that explores the linkages between yield curve, economic activity and monetary policy. Although empirical work has been done to show the significance of the slope of yield curve in predicting economic slowdowns, it has predominantly been for the developed markets of the US, Europe and so on. This paper explores the predictive power of the slope of yield curve in forecasting economic slowdowns in India through the use of wavelet based filtering. We develop a new approach using duration models to enable the construction of real time forecasting of recession probabilities.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"19 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133402978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Bypassing the Debt Trap â Indian Perspective 绕过债务陷阱âÂÂ印度视角
Journal of Stock & Forex Trading Pub Date : 2015-03-07 DOI: 10.4172/2168-9458.1000146
S. Sabade
{"title":"Bypassing the Debt Trap â Indian Perspective","authors":"S. Sabade","doi":"10.4172/2168-9458.1000146","DOIUrl":"https://doi.org/10.4172/2168-9458.1000146","url":null,"abstract":"Over the last two decades, India has been running deficits in both revenue account and overall budget adding to the public debt each year. Fiscal profligacy of many state governments has added to the woes of the center by further raising the combined debt burden. External debt becomes another worrisome aspect especially when crossborder flows become volatile during crises and rating agencies are waiting in the wings with a downgrade threat. As soon as the debt crosses a certain threshold level, the financial markets become unwilling to buy government bonds and suddenly the deficit starts appearing unsustainable, bonds get junked, further lowering sovereign ratings and a debt crisis can emerge. Evidently, precaution is better than cure and it’s essential to foresee a debt trap and bypass; escape or circumvent it by fiscal prudence. Fiscal prudence is not just about reducing deficit numbers; it’s about quality of government expenditure reflected in generation of productive assets and elimination of revenue deficit. This paper attempts to assess India’s fiscal situation particularly by identifying the possibility of a debt trap and suggests ways and means to improve the situation.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131088506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Developing Profitable Trading System 开发盈利交易系统
Journal of Stock & Forex Trading Pub Date : 2015-03-06 DOI: 10.4172/2168-9458.1000145
Alaa Eldin M. Ibrahim
{"title":"Developing Profitable Trading System","authors":"Alaa Eldin M. Ibrahim","doi":"10.4172/2168-9458.1000145","DOIUrl":"https://doi.org/10.4172/2168-9458.1000145","url":null,"abstract":"This research work provides a quantitative approach to measure the accuracy of a buy or sell signals of stocks in the US stock market. It describes several buy/sell indicators then measures the accuracy of each indictor by testing it on a number of filtered US historical data between 2000 and 2014. We show how each indicator weighs then by summing up scores of successful indicators; we end up with a score for each stock at a particular time. This would give a much more accurate buy or sell signal. In past stock market research typically researchers measure the probability of a success of an uptrend or a downtrend based on a fixed number of successful indicators. For example, some research shows that six out of nine indicators must be giving buy/sell signals. The results obtained in this research should be applicable to other international markets as well.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115122539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Interlinkages in Asia-Pacific Non-Deliverable Forward (NDF) Markets (A Comparison between Pre and Post Currency Futures Era) 亚太地区无本金交割远期(NDF)市场的相互联系(货币期货时代前后的比较)
Journal of Stock & Forex Trading Pub Date : 2015-03-04 DOI: 10.4172/2168-9458.1000143
A. Saravanan, Velmurugan Ps
{"title":"Interlinkages in Asia-Pacific Non-Deliverable Forward (NDF) Markets (A Comparison between Pre and Post Currency Futures Era)","authors":"A. Saravanan, Velmurugan Ps","doi":"10.4172/2168-9458.1000143","DOIUrl":"https://doi.org/10.4172/2168-9458.1000143","url":null,"abstract":"This paper examines the inter-linkages in Asia Pacific, currency market before and after the introduction of currency futures in India using simple correlation and Granger causality tests. It is found that inter-linkages among Asia- pacific markets have increased after the emergence of currency future, and Asia-Pacific NDF markets are closely linked with one another. Further, Indonesian market does not seem to have any influence on the other Asia-Pacific markets except India and similarly is not much affected by any market other than the China, India and Philippines. Vietnam market seems to be isolated from the region. Indonesia market appears to dominate other markets in the region and its effect on them is even greater than that of China. All eight Asia-Pacific markets affect one another and their effects are transmitted within three days in most of the cases.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128886670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Inclusiveness in Poverty Reduction in India: A Great Leap Forward? 印度减贫的包容性:大跃进?
Journal of Stock & Forex Trading Pub Date : 2015-02-21 DOI: 10.4172/2168-9458.1000142
Sweety Thomas, Krishna Reddy Chittedi
{"title":"Inclusiveness in Poverty Reduction in India: A Great Leap Forward?","authors":"Sweety Thomas, Krishna Reddy Chittedi","doi":"10.4172/2168-9458.1000142","DOIUrl":"https://doi.org/10.4172/2168-9458.1000142","url":null,"abstract":"Copyright: © 2015 Thomas S, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. The growth story of Indian Economy has been significant in the recent years. But in terms of poverty reduction India is lagging behind and it has lot more to do. India’s performance is dismal with regard to the Multidimensional Poverty Index introduced by UNDP in its Human Development Report 2010. This is an attempt to evaluate the findings of the expert groups on the measurement of poverty and to analyse how far we have achieved our target of inclusiveness in poverty reduction.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115383374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial Market Efficiency Should be Gauged in Relative Rather than Absolute Terms 金融市场的效率应该以相对而不是绝对来衡量
Journal of Stock & Forex Trading Pub Date : 2015-02-17 DOI: 10.4172/2168-9458.1000140
Sergio Da Silva
{"title":"Financial Market Efficiency Should be Gauged in Relative Rather than Absolute Terms","authors":"Sergio Da Silva","doi":"10.4172/2168-9458.1000140","DOIUrl":"https://doi.org/10.4172/2168-9458.1000140","url":null,"abstract":"Economists assess the efficiency of financial markets in absolute, all-or-nothing terms. However, this is at odds with a no-nonsense physics approach. Here, I describe how the relative efficiency of markets can be gauged taking advantage of algorithmic complexity theory. This is not physics-envy because the approach is superior in considering the proper randomness present in complex financial markets.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125637647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Using Dynamic Principal Components to Estimate an Alternative Measure of Exchange Market Pressure 用动态主成分估计外汇市场压力的替代度量
Journal of Stock & Forex Trading Pub Date : 2015-02-06 DOI: 10.4172/2168-9458.1000138
S. Hegerty, H. Marfatia
{"title":"Using Dynamic Principal Components to Estimate an Alternative Measure of Exchange Market Pressure","authors":"S. Hegerty, H. Marfatia","doi":"10.4172/2168-9458.1000138","DOIUrl":"https://doi.org/10.4172/2168-9458.1000138","url":null,"abstract":"Measures of Exchange Market Pressure (EMP) combine exchange-rate depreciations, reserve losses, and interest-rate hikes into a single index, for the purpose of explaining or predicting currency crisis. The standard measure assigns variance-smoothing weights that are fixed throughout the sample periods. Here, we extend the static PCA analysis of Hegerty (2013) to model EMP using the Dynamic Principal Components (DPCA) approach of Forni et al. While the DPCA and the: “standard” measure match in certain cases, they diverge widely in others, suggesting that this alternative must be refined before it can be used in wider practice.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134253103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monitoring Public Procurement Using a Fuzzy Logic System 基于模糊逻辑系统的公共采购监控
Journal of Stock & Forex Trading Pub Date : 2015-01-26 DOI: 10.4172/2168-9458.1000139
Dimitri Mardas, A. Tsadiras
{"title":"Monitoring Public Procurement Using a Fuzzy Logic System","authors":"Dimitri Mardas, A. Tsadiras","doi":"10.4172/2168-9458.1000139","DOIUrl":"https://doi.org/10.4172/2168-9458.1000139","url":null,"abstract":"The problem of monitoring public procurement is a vital issue, especially in the European Union (EU), where the free movement of goods is finally established by the “Single European Act”. A monitoring system that could be applied after public procurement contracts have been awarded, would examine and identify the existence both, of corruption and of “buy national” policies and practices (i.e. policies favouring domestic suppliers). In this article, the use of a fuzzy logic system as a monitoring mechanism for public procurement is proposed. Using this system, national or EU surveillance authorities can sort the contractors in a series of categories, identifying the degree of their efficiency. The design and implementation of the proposed fuzzy logic system is presented, followed by demonstrative examples of its operation. This system, which applies mainly to goods and services, can also be used as a decision support system at the stage of the selection process, assisting the choice of the best contractor.","PeriodicalId":315937,"journal":{"name":"Journal of Stock & Forex Trading","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124944549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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